First thing is to download it from http://www.mysql.com/mysql_w32.htmy .
The installation itself is very easy, just like any other Windows program. That is it if you are using PHP4, for PHP3 you have to change one line in php3.ini.
There is a very good tutorial on PHP/MySQL on Sitepoint.com : http://www.webmasterbase.com/article...aid=228&pid=19 . You might want to read the whole series as it is a good introduction to database driven websites. In fact, it prompted me to start learning SQL and to improve my knowledge of PHP...
Hope that helped!
Johannes